Finding Cointegration

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https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1404905.



Hello everyone,



In the link above, Meucci explains that in order to find a combination leading to cointegration of several series X , you have to find the vector w which minimise the quantity Var(w'X). I do not understand why we want to minimise variance. Because stationarity needs constant variance and not the smallest possible variance.



Thank you for your help !




variance




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    up vote
    0
    down vote

    favorite












    https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1404905.



    Hello everyone,



    In the link above, Meucci explains that in order to find a combination leading to cointegration of several series X , you have to find the vector w which minimise the quantity Var(w'X). I do not understand why we want to minimise variance. Because stationarity needs constant variance and not the smallest possible variance.



    Thank you for your help !




    variance




    share|cite|improve this question























      up vote
      0
      down vote

      favorite









      up vote
      0
      down vote

      favorite











      https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1404905.



      Hello everyone,



      In the link above, Meucci explains that in order to find a combination leading to cointegration of several series X , you have to find the vector w which minimise the quantity Var(w'X). I do not understand why we want to minimise variance. Because stationarity needs constant variance and not the smallest possible variance.



      Thank you for your help !




      variance




      share|cite|improve this question













      https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1404905.



      Hello everyone,



      In the link above, Meucci explains that in order to find a combination leading to cointegration of several series X , you have to find the vector w which minimise the quantity Var(w'X). I do not understand why we want to minimise variance. Because stationarity needs constant variance and not the smallest possible variance.



      Thank you for your help !





      variance





      share|cite|improve this question












      share|cite|improve this question




      share|cite|improve this question








      edited Jul 30 at 12:24
























      asked Jul 30 at 12:12









      JeanGuillaume

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